133 lines
5.4 KiB
Markdown
133 lines
5.4 KiB
Markdown
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# DOLPHIN NG — Performance Registry
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> Canonical benchmark tiers. Update this file whenever a new result becomes the production target.
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> `GOLD` = what the system must beat or match. `SILVER` = previous gold. `BRONZE` = regression floor.
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---
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## 🥇 D_LIQ_GOLD — Active Production Candidate (2026-03-15)
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| Metric | Value | vs prev GOLD | vs BRONZE |
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|--------|-------|-------------|-----------|
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| **ROI** | **181.81%** | +85.26 pp | +93.26 pp |
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| **DD** | **17.65%** | +3.33 pp | +2.60 pp |
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| **Calmar** | **10.30** | vs 6.74 | vs 5.88 |
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| **Trades** | **2155** | identical | identical |
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| avg_leverage | 4.09x | — | — |
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| liquidation_stops | 1 (0.05%) | — | — |
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**Engine:** `LiquidationGuardEngine(soft=8x, hard=9x, mc_ref=5x, margin_buffer=0.95, adaptive_beta=True)`
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**Factory:** `create_d_liq_engine(**engine_kwargs)` — also `create_boost_engine()` default
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**Module:** `nautilus_dolphin/nautilus/proxy_boost_engine.py`
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**Config key:** `engine.boost_mode = "d_liq"` (now `DEFAULT_BOOST_MODE`)
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**Mechanism:**
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- Inherits `adaptive_beta` scale_boost from AdaptiveBoostEngine (GOLD)
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- Leverage ceiling raised to 8x soft / 9x hard (from 5x/6x)
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- MC-Forewarner assessed at 5x reference (decoupled) → 0 RED/ORANGE/halted days
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- Liquidation floor stop at 10.6% adverse move (= 1/9 × 0.95) — prevents exchange force-close
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- DD plateau: each +1x above 7x costs only +0.12pp DD (vs +2.6pp for 5→6x)
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**Validation (exp9b, 2026-03-15):**
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- All 4 leverage configs compared vs unguarded (exp9): B/C/D all improved ROI + reduced DD
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- E (9/10x): 5 liquidation stops → cascade → dead; D (8/9x) is the sweet spot
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- `pytest -m slow tests/test_proxy_boost_production.py` → **9/9 PASSED (2026-03-15)**
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- MC completely silent: 0 RED, 0 ORANGE, 0 halted across 56 days at 8/9x
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- Trade count identical to Silver (2155) — no entry/exit timing change
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**Compounding ($25k, 56-day periods):**
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| Periods | ~Time | Value |
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|---------|-------|-------|
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| 3 | ~5 mo | $559,493 |
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| 6 | ~1 yr | $12,521,315 |
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| 12 | ~2 yr | $6,271,333,381 |
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---
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## 🥈 GOLD (prev) — Former Production (demoted 2026-03-15)
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| Metric | Value |
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|--------|-------|
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| **ROI** | **96.55%** |
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| **DD** | **14.32%** |
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| **Calmar** | **6.74** |
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| **Trades** | **2155** |
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| scale_mean | 1.088 |
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| alpha_eff_mean | 1.429 |
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**Engine:** `AdaptiveBoostEngine(threshold=0.35, alpha=1.0, adaptive_beta=True)`
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**Factory:** `create_boost_engine(mode='adaptive_beta')` — non-default, opt-in for conservative/quiet-regime use
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**Validation:** `pytest -m slow tests/test_proxy_boost_production.py` → 7/7 PASSED 2026-03-15
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---
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## 🥉 BRONZE — Regression Floor (former silver, 2026-03-15)
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| Metric | Value |
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|--------|-------|
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| **ROI** | **88.55%** |
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| **PF** | **1.215** |
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| **DD** | **15.05%** |
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| **Sharpe** | **4.38** |
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| **Trades** | **2155** |
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**Engine:** `NDAlphaEngine` (no proxy_B boost)
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**Equivalent factory call:** `create_boost_engine(mode='none', ...)`
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**Validation script:** `test_pf_dynamic_beta_validate.py`
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> Bronze is the absolute regression floor. Falling below Bronze on both ROI and DD is a failure.
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---
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## All Boost Modes (exp8 results, 2026-03-14)
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| mode | ROI% | DD% | ΔDD | ΔROI | Notes |
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|------|------|-----|-----|------|-------|
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| `none` (Bronze) | 88.55 | 15.05 | — | — | Baseline |
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| `fixed` | 93.61 | 14.51 | −0.54 | +5.06 | thr=0.35, a=1.0 |
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| `adaptive_alpha` | 93.40 | 14.51 | −0.54 | +4.86 | alpha×boost |
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| `adaptive_thr` | 94.13 | 14.51 | −0.54 | +5.58 | thr÷boost |
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| `adaptive_both` | 94.11 | 14.51 | −0.54 | +5.57 | both combined |
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| **`adaptive_beta`** ⭐ | **96.55** | **14.32** | **−0.72** | **+8.00** | alpha×(1+day_beta) — prev GOLD |
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## Extended Leverage Configs (exp9b results, 2026-03-15)
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| Config | ROI% | DD% | Calmar | liq_stops | Notes |
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|--------|------|-----|--------|-----------|-------|
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| GOLD (5/6x) | 96.55 | 14.32 | 6.74 | 0 | adaptive_beta baseline |
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| B_liq (6/7x) | 124.01 | 15.97 | 7.77 | 1 | improved vs unguarded |
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| C_liq (7/8x) | 155.60 | 17.18 | 9.05 | 1 | improved vs unguarded |
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| **D_liq (8/9x)** | **181.81** | **17.65** | **10.30** | **1** | **D_LIQ_GOLD** |
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| E_liq (9/10x) | 155.88 | 31.79 | 4.90 | 5 | cascade — dead |
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---
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## Test Suite
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```bash
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# Fast unit tests only (no data needed, ~5 seconds)
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pytest tests/test_proxy_boost_production.py -m "not slow" -v
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# Full e2e regression (55-day backtests, ~60 minutes)
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pytest tests/test_proxy_boost_production.py -m slow -v
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```
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Unit tests: ~40 (factory, engine, extended leverage, liquidation guard, actor import)
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E2E tests: 9 (baseline + 5 boost modes + winner-beats-baseline + D_liq repro + MC silent)
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Last full run: **2026-03-15 — 9/9 PASSED, exit code 0 (50:20)**
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---
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## Promotion Checklist
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To promote a new result to D_LIQ_GOLD (production):
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1. [x] Beats prev GOLD on ROI (+85pp); DD increased +3.33pp but Calmar +53% — acceptable
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2. [x] Trade count identical (2155) — no re-entry cascade
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3. [x] MC completely silent at mc_ref=5.0 — 0 RED/ORANGE/halted
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4. [x] liquidation_stops=1 (0.05%) — negligible, no cascade
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5. [x] `pytest -m slow` passes — **9/9 PASSED (2026-03-15, 50:20)**
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6. [x] Updated Registry.md, memory/benchmarks.md, memory/MEMORY.md
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7. [x] `create_d_liq_engine()` and classes added to proxy_boost_engine.py
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8. [ ] Wire `create_d_liq_engine` into DolphinActor as configurable option
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